2 citations · 2 across the 6 of their papers we have counts for
5 papers · 1 filter
Fokker-Planck equations for conditional McKean-Vlasov systems driven by Brownian sheets
Nacira Agram, Bernt Øksendal, Frank Proske +1
We investigate conditional McKean-Vlasov equations driven by time-space white noise, motivated by the propagation of chaos in an N-particle system with space-time Ornstein-Uhlenbec…
A Kalman filter for linear systems driven by time-space Brownian sheet
Nacira Agram, Bernt Øksendal, Frank Proske +1
We study a linear filtering problem where the signal and observation processes are described as solutions of linear stochastic differential equations driven by time-space Brownian…
Fokker-Planck equation for McKean-Vlasov SPDEs driven by time-space Brownian sheet
Nacira Agram, Bernt Oksendal, Frank Proske +1
In this paper, we consider a McKean-Vlasov (mean-field) stochastic partial differential equations (SPDEs) driven by a Brownian sheet. We study the propagation of chaos for a space-…
The time-fractional heat equation driven by fractional time-space white noise
Rahma Yasmina Moulay Hachemi, Bernt Øksendal
We give an introduction to the time-fractional stochastic heat equation driven by 1+d-parameter fractional time-space white noise, in the following two cases: (i) With additive noi…
The Donsker delta function and local time for McKean-Vlasov processes and applications
Nacira Agram, Bernt Øksendal
The purpose of this paper is to establish a stochastic differential equation for the Donsker delta measure of the solution of a McKean-Vlasov (mean-field) stochastic differential e…